Indicator Audit · Batch 2
Classic market rules, fourteen sealed audits
We tested ten published rules on the stock and bond markets their authors used: Faber’s 10-month average, Siegel’s 200-day filter, the Halloween effect, the turn of the month, dual momentum, sector momentum, VIX stretches, the golden cross on the Nasdaq-100, 60/40 rebalancing bands and Connors’ RSI(2). The protocol was sealed before we fetched a single price. None of the 14 audits beat its benchmark with statistical support: 0 of 14 survive Holm’s correction, and all 14 grade F.
How it was done
- Preregistered, then sealed. One document fixed, for all 14 audits: each rule as published with its source, a grid of commonly tried variants (132 in total), the markets, costs, dates, a holdout from 2018, each benchmark, Holm’s correction across the 14, and a promise to publish every result. It was timestamped by DigiCert and FreeTSA (RFC 3161) on 2026-09-25 at 20:11:44 UTC, before any data were fetched.
- Run once each under our sealed rubric v1.1. Every report cites the seal.
- Batch test. Each audit’s Hansen SPA p-value (the best variant of its family against the benchmark) is corrected with Holm’s method. An audit “survives” only if its adjusted p is 0.05 or less.
What we found
Every SPA p-value was at least 0.68. Two defaults finished slightly ahead of their benchmark, but neither was significant:
- The golden cross on QQQ compounded at 12.0% a year against 9.4% for holding. Its whole advantage came from sitting out the 2000–02 crash; from 2003 it trailed.
- 12-1 sector momentum compounded at 9.3% against 8.5% for SPY, with a PBO of 0.99 and a weaker holdout.
The calendar rules, the Halloween effect and the turn of the month, trailed holding by wide margins.
Out of the market, every rule earned 0% in cash: no T-bill series was used, and we said so before running. That works against the timing rules, but it is small next to most of the shortfalls. These are statistics on past data only, not advice, and not a verdict on these ideas in general.
Equities and equity ETFs
| Rule | Market | Variants | Grade | Compound return a year vs benchmark | Excess Sharpe | DSR | PBO | Holdout excess Sharpe (in → out) | Holm p | Survives |
|---|---|---|---|---|---|---|---|---|---|---|
| Faber 10-month SMA timing | SPY | 4 | F | 9.5% vs 10.9% | −0.16 | 0.127 | 0.64 | −0.02 → −0.54 | 1.000 | no |
| Faber 10-month SMA timing | EFA | 4 | F | 7.7% vs 7.6% | −0.07 | 0.299 | 0.65 | −0.04 → −0.17 | 1.000 | no |
| 200-day moving-average filter | SPY | 8 | F | 8.7% vs 10.8% | −0.20 | 0.035 | 0.14 | −0.15 → −0.36 | 1.000 | no |
| Halloween indicator / Sell in May | SPY | 6 | F | 6.9% vs 10.9% | −0.35 | 0.002 | 0.13 | −0.23 → −0.76 | 1.000 | no |
| Halloween indicator / Sell in May | EFA | 6 | F | 6.5% vs 6.6% | −0.08 | 0.147 | 0.56 | −0.07 → −0.14 | 1.000 | no |
| Turn-of-the-month effect | SPY | 6 | F | 3.2% vs 10.9% | −0.51 | 0.001 | 0.33 | −0.44 → −0.70 | 1.000 | no |
| Sector momentum rotation (12-1 month) | 9 sector SPDRs | 12 | F | 9.3% vs 8.5% | +0.07 | 0.491 | 0.99 | +0.16 → −0.12 | 1.000 | no |
| VIX stretches (Connors & Alvarez) | SPY (VIX signal) | 18 | F | 2.5% vs 10.9% | −0.54 | 0.000 | 0.00 | −0.40 → −0.98 | 1.000 | no |
| Golden cross (50/200-day) | QQQ | 24 | F | 12.0% vs 9.4% | +0.03 | 0.287 | 0.50 | +0.08 → −0.18 | 1.000 | no |
| Connors RSI(2) with exit variants | QQQ | 12 | F | 2.8% vs 8.9% | −0.35 | 0.011 | 0.01 | −0.17 → −0.79 | 1.000 | no |
| Connors RSI(2) with exit variants | IWM | 12 | F | 2.2% vs 8.9% | −0.39 | 0.012 | 0.87 | −0.40 → −0.37 | 1.000 | no |
Multi-asset and bonds
| Rule | Market | Variants | Grade | Compound return a year vs benchmark | Excess Sharpe | DSR | PBO | Holdout excess Sharpe (in → out) | Holm p | Survives |
|---|---|---|---|---|---|---|---|---|---|---|
| Faber 10-month SMA timing | IEF | 4 | F | 1.0% vs 3.3% | −0.49 | 0.003 | 0.20 | −0.89 → +0.02 | 1.000 | no |
| Antonacci dual momentum (Global Equities Momentum) | SPY/EFA/AGG | 6 | F | 9.7% vs 11.2% | −0.15 | 0.159 | 0.53 | +0.02 → −0.59 | 1.000 | no |
| 60/40 rebalancing bands | SPY/IEF 60/40 | 10 | F | 8.6% vs 9.5% | −0.38 | 0.015 | 0.64 | +0.12 → −0.72 | 1.000 | no |
Sources. Faber (2007), J. Wealth Management; Siegel (2002), Stocks for the Long Run; Bouman & Jacobsen (2002), American Economic Review; Lakonishok & Smidt (1988), RFS, and McConnell & Xu (2008), FAJ; Antonacci (2014), Dual Momentum Investing; Moskowitz & Grinblatt (1999), J. Finance, and Faber (2010); Connors & Alvarez (2009), Short Term Trading Strategies That Work; Brock, Lakonishok & LeBaron (1992), J. Finance; Jaconetti, Kinniry & Zilbering (2010), Vanguard. Full citations are in each report and in the preregistration.
Seal. Preregistration SHA-256 ff8cace63cad05977286a8a9a33dbbc88071c2f12a1d4a0d78f87f8d33f98250; seal record 35f52f363e7cb128df873803d8e10268977adb2cf06204cb6dfd1b2e57f18b11. The preregistration, receipts and code are in the open-source repository (samples/batch2/).
Disclosures. Single-asset rules are compared with buy-and-hold of the same ETF. Dual momentum, sector rotation and the VIX rule are compared with SPY, and the 60/40 bands with an unrebalanced 60/40. The VIX index is used as a signal only. We had already seen SPY results from earlier audits. There were no deviations from the preregistered protocol.
Prices from Yahoo Finance’s public chart endpoint; we publish derived statistics only, never raw prices; no redistribution.
These audits analyze published rules on historical data for illustration. They are not recommendations to trade any of these strategies, and a grade is not a prediction.